Hi there! I've only read up to the second book, Torment, so far, but I shared many of your questions while reading the first one:
*Trevor---I was confused about that too. The fire is supposed to only happen with Luce and Daniel, so the deal with Trevor seems to be a fluke. There is a LOT of detail that opens up about the shadows in the second book though, so that's either A) another aspect of them that hasn't been revealed yet, or B) a good ol' fashioned plothole. I tend to think B, but she might yet dig herself out of that.
*The "gossiping" thing--most of what Daniel says to Luce is heavily censored and incomplete. The shadows are much more than messengers. That's all I'll say if you're still interested in reading further.
*Penn--I actually liked Penn a lot, and she seemed like Luce's closest friend at the school. As for why she had to die, well, Sophia needed a sacrifice and Penn was there, and that honestly was enough for me.
*The fight at the end--Yeah, can't help you there. Poorly planned, sloppily executed, not much tension on account of Luce getting very quickly relocated. It was a disappointment.
*The angels at Sword & Cross--I would have previously thought the same, that they were there to protect Luce, but given the events of the next book, I'm not so sure. Because Luce goes elsewhere, and many of the previous characters stay at Sword & Cross.
*Her flying dreams--I complete forgot about them. No idea.
I will say that I enjoyed Torment MUCH, much more than Fallen overall. As for your Christian background, don't worry about it too much. It's the author's job to do the research and put what you need to know into the narrative. What kind of background you have religion-wise shouldn't make a difference.